Sökning: "Stochastic Programming"

Visar resultat 16 - 20 av 54 uppsatser innehållade orden Stochastic Programming.

  1. 16. Hedging of a foreign exchange swapbook using Stochastic programming

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Emma Bohlin; Jonatan Harling; [2021]
    Nyckelord :term structure measurement; optimization; hedging; foreign exchange swaps; interest rates; FX; stochastic programming;

    Sammanfattning : A large part of the foreign exchange market concerns the trading of FX swaps. While entering a position in a FX swap does not cost any money, banks earn money on FX swaps when their customers cross the bid/ask spread, creating a perceived transaction costs for the swaps. LÄS MER

  3. 17. Deep learning for portfolio optimization

    Master-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)

    Författare :JOHN N. MBITI; [2021]
    Nyckelord :Portfolio optimization; optimal portfolio; jump diffusion; Itô-Lévy process; stochastic control; dynamic programming; HJB equation; utility optimization; stochastic gradient descent; Deep learning; neural network.;

    Sammanfattning : In this thesis, an optimal investment problem is studied for an investor who can only invest in a financial market modelled by an Itô-Lévy process; with one risk free (bond) and one risky (stock) investment possibility. We present the dynamic programming method and the associated Hamilton-Jacobi-Bellman (HJB) equation to explicitly solve this problem. LÄS MER

  4. 18. Cost optimization in the cloud : An analysis on how to apply an optimization framework to the procurement of cloud contracts at Spotify

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Harald Ekholm; Daniel Englund; [2020]
    Nyckelord :cloud computing; Spotify; monte carlo; MC; stochastic processes; stochastic programming; Google Cloud Platform; GCP; IT; computational resources; optimization; cost optimization; forecast; procurement;

    Sammanfattning : In the modern era of IT, cloud computing is becoming the new standard. Companies have gone from owning their own data centers to procuring virtualized computational resources as a service. This technology opens up for elasticity and cost savings. Computational resources have gone from being a capital expenditure to an operational expenditure. LÄS MER

  5. 19. Optimal planning of hydropower

    Master-uppsats, Linnéuniversitetet/Institutionen för fysik och elektroteknik (IFE)

    Författare :Alexander Svensson Marcial; [2020]
    Nyckelord :Dynamic programming; optimal control; switching; hydropower production planning;

    Sammanfattning : We are currently witnessing a rapid expansion of renewable power production, an increase dominated by wind and solar power. These intermittent energy sources, while having low production costs, increases the uncertainty on the electrical markets. Hydropower is a renewable source of electricity that is capable of controlled production. LÄS MER

  7. 20. A Utility Approach: Strategy Analysis and Optimization

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Magnús Ólafur Sigurdsson; [2019]
    Nyckelord :Utility optimization; Portfolio analysis; Dynamic programming; Bellman equation.; Technology and Engineering;

    Sammanfattning : Utility theory and Monte Carlo simulations are used to calculate optimal allocation for long term as well as, risk averse investors with a portfolio consisting of one risky asset and one risk-free bank account. The problems solved in this thesis are divided into two types, static and dynamic. LÄS MER